I usually dive in head-first, then limp back to the manual once I've gotten my posterior handed to me on a bloody silver platter.
I think it's a good move that most games have 'in-game' tutorials, but it seems like it comes at the expense of the manuals. I remember the days when manuals (and even some strategy guides) actually ADDED to the gaming experience, either with good artwork or even back-stories by way of prologues, profiles, and even comics once a great while. It's terribly nostalgic and sentimental, but the fact that the manuals were genuinely tangible gave the games a little more credibility.